| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5077076 | Insurance: Mathematics and Economics | 2012 | 7 Pages |
Abstract
⺠The skew Brownian motion is an appealing model of asymmetric random returns. ⺠We show that an arbitrage occurs in optimization and derivative pricing models. ⺠We make use of results by Delbaen and Schachermayer (1994, 1995).
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Damiano Rossello,